Replication code for "Risk-adjusted returns of private equity funds: A new approach"
by Arthur Korteweg and Stefan Nagel

This repository contains two main scripts:
- GPME_fundalpha_Burgiss_230719.m	Produces GPME and alpha estimates and the regression and predictability results in sections 5 and 6 of the paper
- GPME_fundalpha_Burgiss_sim_230814.m	This runs the bootstrapping simulation in section 4 of the paper

The other m-files are auxiliary functions that are called by the main scripts.

This included file is the mock data that shows the structure of the Burgiss data set used to produce the estimates in the paper:
- Fakedata.xlsx
The mock data will allow the code to run, although the regression and predictability output is not meaningful as there are too few funds.

The following files with public equity returns data will need to be downloaded from Kenneth French's data library (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html):
- F-F_Research_Data_5_Factors_2x3_daily.csv
- 6_Portfolios_ME_OP_2x3_daily.csv
- 6_Portfolios_2x3_daily.csv
and the following file with CPI inflation data needs to be downloaded from FRED (https://fred.stlouisfed.org/series/CPIAUCSL):
- CPIAUCSL.csv